Learning to manage in knowledge based organizations: the role of portfolios

Paper presented at the 8th European Conference on Knowledge Management, Barcelona, 6-7 Sep. 2008 URL: http://www.academic-conferences.org/eckm/eckm2007/eckm07-home.htm

Integration of e-portfolios in learning management systems

The LMS plays a decisive role in most eLearning environments. Although they integrate many useful tools for managing eLearning activities, they must also be effectively integrated with other specialized systems typically found in an educational environment such as Repositories of Learning Objects or ePortfolio Systems. Both types of systems evolved separately but in recent years the trend is to combine them, allowing the LMS to benefit from using the ePortfolio assessment features. This paper details the most common strategies for integrating an ePortfolio system into an LMS: the data, the API and the tool integration strategies. It presents a comparative study of strategies based on the technical skills, degree of coupling, security features, batch integration, development effort, status and standardization. This study is validated through the integration of two of the most representative systems on each category - respectively Mahara and Moodle.

Learning to manage in knowledge-based organizations: the role of learning logs or portfolios

Paper presented at the 8th European Conference on Knowledge Management, Barcelona, 6-7 Sep. 2008 URL: http://www.academic-conferences.org/eckm/eckm2007/eckm07-home.htm

Beyond the carry trade: Optimal currency portfolios

Author's Pre-print

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis

This study examines the impact of macro-liquidity shocks on the returns of UK stock portfolios sorted on the basis of a series of micro-liquidity measures. The macro-liquidity shocks are extracted on the meeting days of the Bank of England Monetary Policy Committee relative to market expectations embedded in futures contracts on the 3-month LIBOR during the period June 1999- December 2009. We report definitive evidence that these shocks are transmitted to the cross-section of liquidity-sorted portfolios, with most liquid stocks playing a very active role. Our results emphatically document that the shocks-returns relationship has reversed its sign during the recent financial crisis; the standard inverse relationship between interest rate surprises and portfolios’ returns before the crisis has turned into positive during the crisis. This finding confirms the inability of interest rate cuts to boost returns in the shortrun during the crisis, because these were perceived by market participants as a signal of a deteriorating economic outlook.

The role of education in equity portfolios during the recent financial crisis

Using a panel of 38 economies, over the period 2001 to 2010, we analyse the link between diversification in equity portfolios and different facets of education. We find that traditionally used measures of education play an important role in reducing equity home bias. After separating countries according to their level of financial development, we find that less developed economies tend to benefit more from an improvement in the level of education compared to their more developed counterparts. We also find that the beneficial effect of education is more pronounced during the most recent financial crisis, especially for economies with less developed financial markets.

Análise de métricas de risco na otimização de portfolios de ações

RESUMOOs trabalhos de Markowitz e Sharpe formaram as bases da chamada Moderna Teoria do Portfolio. Com o passar dos anos, os trabalhos desses autores foram revisados e medidas alternativas para formação de carteiras foram propostas. Diante disso, há necessidade de avaliar quais as diferenças entre tais medidas. Segundo Roman e Mitra, esse problema constitui uma nova fase de estudos, denominada de Teoria do Portfolio Pós-Moderna. Neste artigo, o objetivo é comparar os modelos de otimização com a utilização das medidas de risco desvio padrão (DP), momento parcial inferior (LPM) e valor em risco condicional (CVaR), para o estudo de suas diferentes formas de alocações em carteiras de ações negociadas na BM&FBovespa. A realização do artigo foi dividida em duas etapas: na primeira, houve a seleção das medidas de risco e a definição do período de análise; na segunda, houve a divisão dos ativos de acordo com a forma da distribuição de probabilidade dos retornos, um grupo composto por ações com retornos normalmente distribuídos e outro grupo por ações com retornos que não possuem distribuição normal. Quanto às medidas de risco, os testes apresentaram características similares entre os modelos; em relação aos retornos, os modelos que minimizaram o LPM e o CVaR demonstraram resultados superiores em comparação ao DP. Esses resultados são relevantes porque põem em contraposição os trabalhos que defendem não existir diferenças significativas entre os modelos.

Country portfolios and the Solow-model

This paper shows that an open economy Solow model provides a good description of international investment positions in industrialized countries. More than half of the variation of net foreign assets in the 1990's can be attributed to cross country differences in the savings rate, population and productivity growth. Furthermore, these factors seem to be an important channel through which output and wealth affect international investment positions. We interpret this funding as evidence that decreasing returns are an important source of international capital movements. The savings rate (andpopulation growth) influence the composition of country portfolios through their downward (upward) pressure on the marginal productivity of capital.

Country portfolios

Capital flows to developing countries are small and are mostly take the form of loans rather than direct foreign investment. We build a simple model of North-South capital flows that highlights the interplay between diminishing returns, production risk and sovereign risk. This model generates a set of country portfolios and a world distribution of capital stocks that resemble those in the data.

Composition of electricity generation portfolios, pivotal dynamics and market prices

We use a simulation model to study how the diversification of electricity generation portfoliosinfluences wholesale prices. We find that technological diversification generally leads to lower market prices but that the relationship is mediated by the supply to demand ratio. In each demand case there is a threshold where pivotal dynamics change. Pivotal dynamics pre- and post-threshold are the cause of non-linearities in the influence of diversification on market prices. The findings are robust to our choice of behavioural parameters and match close-form solutions where those are available.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.